Risk Measurement, Econometrics and Neural Networks
Selected Articles of the 6th Econometric-Workshop in Karlsruhe, Germany
Published on 20. October 1998
Book
Paperback/Softback
XII, 306 pages
978-3-7908-1152-0 (ISBN)
Description
This book comprises the articles of the 6th Econometric Workshop in Karlsruhe, Germany. In the first part approaches from traditional econometrics and innovative methods from machine learning such as neural nets are applied to financial issues. Neural Networks are successfully applied to different areas such as debtor analysis, forecasting and corporate finance. In the second part various aspects from Value-at-Risk are discussed. The proceedings describe the legal framework, review the basics and discuss new approaches such as shortfall measures and credit risk.
More details
Series
Edition
Softcover reprint of the original 1st ed. 1998
Language
English
Place of publication
Heidelberg
Germany
Target group
Professional and scholarly
Professional/practitioner
Illustrations
26 s/w Abbildungen
XII, 306 p. 26 illus.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 18 mm
Weight
493 gr
ISBN-13
978-3-7908-1152-0 (9783790811520)
DOI
10.1007/978-3-642-58272-1
Schweitzer Classification
Other editions
Additional editions
Georg Bol | Gholamreza Nakhaeizadeh | Karl-Heinz Vollmer
Risk Measurement, Econometrics and Neural Networks
Selected Articles of the 6th Econometric-Workshop in Karlsruhe, Germany
E-Book
12/2012
Physica
€96.29
Available for download
Content
Nonparametric Smoothing and Quantile Estimation in Time Series.- Development of a Credit-Standing-Indicator for Companies Based on Financial Statements and Business Information with Backpropagation- Networks.- Data Warehousing and OLAP: Delivering Just-In-Time Information for Decision Support.- Financial Calculations on the Net.- The Durbin-Watson Test for Neural Regression Models.- Neuro-Fuzzy Methods in Finance Applied to the German Stock Index DAX.- Statistical Process Control and its Application in Finance.- An Analysis of the Financing Behavior of German Stock Corporations Using Artificial Neural Networks.- Portfolio Analysis Based on the Shortfall Concept.- Basics of Statistical VaR-Estimation.- On the Accuracy of VaR Estimates Based on the Variance-Covariance Approach.- Confidence Intervals for the Value-at-Risk.- Regulatory Framework for the Risk Management of German Credit Institutions.- Measuring and Managing Credit Portfolio Risk.